V-Lab: Aetna Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Aetna Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 29th, 2018:18.41% (-1.03%)

Analysis last updated: Wednesday, November 28, 2018 at 10:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0051	9.56
$α$	0.1127	8.34
$β$	0.8092	37.27
$γ_{1}$	0.0451	3.34
$γ_{2}$	-0.0763	-3.41
$γ_{3}$	0.0471	2.52
$γ_{4}$	-0.0377	-2.25
$γ_{5}$	0.0376	3.38

Estimation Period:
Jan 2, 1990 to Nov 21, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts